New Techniques to Extract Market Expectations from Financial Instruments / Paul Soderlind, Lars E. O. Svensson.

Format:

Book

Author/Creator:

Soderlind, Paul.

Contributor:

National Bureau of Economic Research.

Svensson, Lars E. O.

Series:

Working Paper Series (National Bureau of Economic Research) no. w5877.

NBER working paper series no. w5877

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1997.

Summary:

This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates and inflation. More recently, these methods have been refined to rely on implied forward interest rates, so as to extract expected future time-paths. Very recently only the means but the whole (risk neutral) probability distribution from a set of option prices.

Notes:

Print version record

January 1997.